Study: Sell CHOLAFIN when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CHOLAFIN at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-23544.852491537.55006.1611392.41-4573.35-26860.891.090.66-0.028-981.04
2-25971.32241212505148.6316085.93-7312.9-20073.640.70.7-0.029-1082.14
3-6509.33241212506932.1819823.79-7474.62-29998.40.930.93-0.0055-271.22
45376.2241212507778.1118061.67-7330.09-40851.611.061.060.0041224.01
5-2655.5924131154.178110.2517970.82-9826.26-46262.210.830.98-0.0017-110.65
610451.4224131154.1711145.3825517.42-12221.68-52313.110.911.080.0055435.48
745320.3924131154.1713775.9747419.44-12160.66-53401.631.131.340.0211888.35
8-8680.0724111345.8315002.7552239.98-13362.33-49687.851.120.95-0.0037-361.67
9-29147.3724111345.8316425.159418.39-16140.26-51335.781.020.86-0.011-1214.47
10-54426.8824101441.6717678.5967015.98-16515.2-63279.21.070.76-0.019-2267.79
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil37.4648987.742681830.7727835.6541599.54-9649.86-13815.822.881.280.0221884.14
atrtrail24.6925166.422681830.7718252.8127733.03-6714.22-13815.822.721.210.016967.94
atrtrail35.3110215.532681830.7716383.9527953.99-6714.22-13815.822.441.080.0067392.9
atrnil26.2712006.62691734.6219254.2627733.03-9487.16-13815.822.031.070.0068461.79
atrtrail-16415.892681830.7715158.9935860.14-6714.22-13815.822.2610.0002816

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016318 Feb 2016 (-5.43%), 02 Sep 2016 (-3.99%), 05 Dec 2016 (-6.21%)
2014130 May 2014 (-6.91%)
2013110 Oct 2013 (-3.59%)
2011328 Jul 2011 (-4.51%), 29 Jul 2011 (13.98%), 09 Nov 2011 (13.06%)
2010321 Jan 2010 (16.02%), 27 Aug 2010 (-4.48%), 18 Nov 2010 (-6.07%)
2008105 Mar 2008 (20.8%)
2007209 Feb 2007 (12.73%), 22 Nov 2007 (-6.9%)
2006102 Nov 2006 (-3.68%)
2005123 Mar 2005 (-5.28%)
2002217 May 2002 (-6.45%), 11 Nov 2002 (-3.06%)
2001410 Jan 2001 (10.67%), 27 Feb 2001 (-4.49%), 28 Feb 2001 (13.58%), 20 Mar 2001 (-5.9%)
2000214 Nov 2000 (-3.19%), 15 Dec 2000 (-3.34%)
1998229 Jul 1998 (-3.39%), 23 Sep 1998 (10.51%)



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